• The Journal of Fisheries Business Administration
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• v.38 no.2
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• pp.63-78
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• 2007

The objective of this study is to examine the speculative efficiency of shrimp futures market. Testing for the speculative efficiency hypothesis is carried out using Johansen's the maximum-likelihood cointegration method and Fama(1984) regressison model. Analysis data are obtained Kansai Commodities Exchange in Osaka and are daily data of frozen shrimp futures and cash prices for all trading days in the time period from September 6, 2002, frozen shrimp futures is introduced, to May 10, 2007. The empirical results are summarized as follows:First, there exists the cointegrating relationship between realized spot India 16/20, Indonesia 16/20, vietnam 16/20 prices and futures prices of the 14 day to maturity. Second, shrimp futures contract prices do not behave as unbiased predictor s of future spot shrimp prices. This indicates that the shrimp futures market is inefficient.

• Environmental and Resource Economics Review
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• v.11 no.3
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• pp.397-414
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• 2002

This paper presents an empirical analysis of exchange rate volatility, petroleum's import price and industrial production on petroleum imports. The GARCH framework is used to measure the exchange rate volatility. One of the most appealing features of the GARCH model is that it captures the volatility clustering phenomenon. We found one long-run relationship between petroleum imports, import price, industrial production, and exchange rate volatility using Johansen's multivariate cointegration methodology. Since there exists a cointegrating vector, therefore, we employ an error correction model to examine the short-run dynamic linkage, finding that the exchange rate volatility performs a key role in the short-run. This paper also apply impulse-response functions to provide the dynamic responses of energy consumption to the exchange rate volatility. The results show that the response of energy consumption to exchange rate volatility declines at the first month and dies out very quickly.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.6
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• pp.109-116
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• 2020

The study examines the nexus between financial development and economic growth in India during Q1: 1996 to Q3: 2018. This study employs time-series data of real GDP and ratio of broad money to GDP as a proxy for economic and financial development, respectively. The data are obtained from RBI database on the Indian economy. All variables are seasonally adjusted using X12-arima technique and expressed in natural logarithm form. Non-linear Autoregressive Distributed Lag (NARDL) bound test has been used to check for cointegrating relationship of these two variables. Empirical findings suggest that, unlike in the short run, in the long run financial development does impact economic growth positively. Further, a symmetric effect of positive and negative components of financial development is found for the Indian economy, whereas the effect of control variable like exchange rate and trade openness is in consonance with common economic intuition. Exchange rate is in consonance with intuitive economic logic that a fall in exchange rate makes exports cheaper and increases the quantity of export, which improves the balance of payment and leads to a rise in aggregate demand, hence improves economic growth. This paper contributes to the existing literature on India by breaking down financial indicator into positive and negative components to examine the finance-growth relationship.

• Environmental and Resource Economics Review
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• v.26 no.1
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• pp.37-56
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• 2017

This study analyzed the mutual causal relationship between energy consumption, production, and export for manufacturing industry in Korea. The Korean manufacturing industry was divided into nine industries and panel data was constructed from 1991 to 2013. The panel Granger causality test method developed by Demitrescu and Hurlin (2012) was used along with the Vector Error Correction Model. This analysis showed that there was Granger Causality from production to energy consumption, from exports to energy consumption. However, Granger Causality was not established in the opposite direction. Therefore, this result supports the conservation hypothesis of Qzturk (2010) that energy-saving policies in the manufacturing sector can be implemented without adverse effects on production or exports in short-run. There is a long-run cointegrating relationship between production, energy consumption, exports, labor, and capital in the Korean manufacturing sector. Furthermore, the energy consumption contributes to the increasing of production in long-run equilibrium relationship.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.125-162
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• 2003

This paper investigates the short- and long- run relationship among Korean, U.S. and Japanese construction indices. We conducted the Johansen's cointegration tests on the hypotheses that the construction indices of three countries we related in the long-run as well as in the short-run. The test results show that there exists no long-run relationship among three countrie's construction indices. In addition, the cointegrating relation did not exist for three countrie's stock market indices and five major Korean construction firms. It fumed out that the U.S. indices Granger-causes Japanese and Korean indices. This finding implies that there may exist international diversification benefit through forming a portfolio from these indices.

• Journal of Korea Technology Innovation Society
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• v.10 no.1
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• pp.47-72
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• 2007

Ideas do not become exhausted, and there are no diminishing returns in the creation of knowledge. Nonetheless, growth ultimately ceases in this simplest model of endogeneous innovation. The reasons are similar to those that are discussed in the context of the neoclassical model of capital accumulation. Even if the resource cost of creating new goods does not rise, the economic return to invention may decline as the number of available products increases. When the rate of return to R&D falls to the level of the discount rate, private agents cease to be willing to defer consumption in order to invest in product development. But, if we treat knowledge capital as a public capital considering of its non-appropriable benefits, economic growth can be sustained in the economy. Romer(1986) has pointed out that growth might be sustainable if the accumulation of knowledge is not subject to long-run diminishing returns. Actually Romer assumed diminishing returns in the production of private knowledge from available resources, but increasing returns in the production of output from labor and total (public and private) knowledge. His condition for the sustainability of long-run growth amounts to an assumption that the diminishing returns in the former activity do not outweigh the increasing returns in the latter. The Johansen(1988) cointegration test method is used for finding long-run equilibrium relationship between R&D input and the product innovation. Test results indicate the existence of cointegrating equation between each pair of regression variables including dependent variable in the knowledge production function. And, the signs of cointegrating vectors are well accord to the prediction of sustainable growth. In the empirical analysis, from all cases of the form for the knowledge production function, we could not reject the null hypothesis that R&D spillover effect is significant($H_{0}:\;{\gamma}=1$). In summary, we showed that considering goodness of fit of regression model, we can see that the empirical evidence is strongly in favor of the character of knowledge as the public knowledge capital. So, we can expect that by product innovation, economic growth can be sustained in the Korean economy.

• International Commerce and Information Review
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• v.14 no.3
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• pp.307-322
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• 2012

The purpose of this paper is to examine determinants of export to the East Asia region, using panel unit root, panel cointegration framework, panel VECM (vector error correction model), panel FMOLS (fully modified OLS). Different panel unit root tests confirm that the data series are integrated processes with unit roots. When applying cointegration tests to long-run effect for aggregate panel data, a primary concern is to construct the estimators in a way that does not constrain the transitional dynamics to be similar among different countries of the panel. The regression equations are estimated by various panel cointegration estimators. The panel data causality results reveal that exchange rates has unidirectional effects on export and GDP, and there exists bidirectional causality between export and GDP. Also, the results from the panel FMOLS tests overwhelmingly reject the null hypothesis of zero coefficient. The panel cointegrating vectors show that the export has positive relationship with the GDP and ODI (overseas direct investment).

• Environmental and Resource Economics Review
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• v.23 no.3
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• pp.473-496
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• 2014

This paper intends to test the non-linear relationship between $CO_2$ emissions and income by employing cointegration model of the time-varying income elasticity. We select France, UK, Italy, Japan, US, China, India, Mexico and Korea and use non-parametric time series analysis on each country in order to estimate its own effect of income on $CO_2$ emission. The main results indicate that the $CO_2$ emission-income elasticities vary over time and the income elasticities of the Annex I countries tend to be higher in absolute terms than those of developing countries. In addition, we find that emission-income elasticities decrease for Annex I countries over time, whereas those for developing countries increase.

• The Journal of the Korea Contents Association
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• v.15 no.10
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• pp.457-467
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• 2015

Despite the recent phenomena of Chonsei price increase, low interest rate and low growth, the indexes of financial and insurance industry production showed the results contrary to the common belief that the financial industry is sensitive to such financial crises. This is because the index of financial industry has continuously maintained a certain level of increase as opposed to the index of all industry production. Thus, this study aimed to analyze the dynamic correlation between the index of financial industry production and Chonsei price increase. A vector autoregression (VAR) model, which doesn't have a cointegrating relationship, was used to define the Chonsei price index and the indexes of all industry production and financial and insurance industry, which are macro economic variables, and describe the data. The results of the analysis on the time series data of 183 months from January 2000 to May 2015 showed that Chonsei price increase was not directly derived from the index of financial industry, but the finance industrial index affected Chonsei price increase.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.1-13
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• 2009

The monetary model suggests that nominal exchange rates between two countries will be determined by important macroeconomic variables. The existence of a cointegrating relationship among these fundamental variables is the backbone of the monetary model. In a recent paper, Rapach and Wohar (2002, Journal of International Economics) advance the literature by testing for linear cointegration in the monetary model using a century of data to increase power. They find evidence of cointegration in five or six of ten countries. We extend their work to the nonlinear framework by performing threshold cointegration tests that allow for asymmetric adjustments in two regimes. Asymmetric adjustments in exchange rates can occur, for example, if transactions costs are present or if policy makers react asymmetrically to changing fundamentals. Moreover, whereas Rapach and Wohar (2002) found it necessary to exclude the relative output variable in some cases to maintain the validity of their cointegration tests, we can include this variable as a stationary covariate to increase power. Overall, using their same long-span data, we find more support for cointegration in a nonlinear framework.